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Optimal pension funding through dynamic simulations: the case of Taiwan public employees retirement system


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  • Chang, Shih-Chieh
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    Article provided by Elsevier in its journal Insurance: Mathematics and Economics.

    Volume (Year): 24 (1999)
    Issue (Month): 3 (May)
    Pages: 187-199

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    Handle: RePEc:eee:insuma:v:24:y:1999:i:3:p:187-199

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    1. Dufresne, Daniel, 1989. "Stability of pension systems when rates of return are random," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 8(1), pages 71-76, March.
    2. Haberman, Steven & Sung, Joo-Ho, 1994. "Dynamic approaches to pension funding," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 15(2-3), pages 151-162, December.
    3. Haberman, Steven, 1993. "Pension funding with time delays and autoregressive rates of investment return," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 13(1), pages 45-56, September.
    4. Bowers, Newton Jr. & Hickman, James C. & Nesbitt, Cecil J., 1982. "Notes on the dynamics of pension funding," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 1(4), pages 261-270, October.
    5. Haberman, Steven, 1992. "Pension funding with time delays : A stochastic approach," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 11(3), pages 179-189, October.
    6. Winklevoss, Howard E, 1982. " Plasm: Pension Liability and Asset Simulation Model," Journal of Finance, American Finance Association, American Finance Association, vol. 37(2), pages 585-94, May.
    7. Haberman, S., 1994. "Autoregressive rates of return and the variability of pension contributions and fund levels for a defined benefit pension scheme," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 14(3), pages 219-240, July.
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    Cited by:
    1. Chang, S. C. & Tzeng, Larry Y. & Miao, Jerry C. Y., 2003. "Pension funding incorporating downside risks," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 32(2), pages 217-228, April.
    2. Josa-Fombellida, Ricardo & Rincón-Zapatero, Juan Pablo, 2012. "Stochastic pension funding when the benefit and the risky asset follow jump diffusion processes," European Journal of Operational Research, Elsevier, Elsevier, vol. 220(2), pages 404-413.
    3. Chang, Shih-Chieh & Chen, Chiang-Chu, 2002. "Allocating unfunded liability in pension valuation under uncertainty," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 30(3), pages 371-387, June.
    4. Chao-Liang Chen, 2005. "The funding for a Defined Benefit (DB) pension plan based on the fair valuation of the plan's insolvency risk," Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 37(14), pages 1623-1633.


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